Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0162
Annualized Std Dev 0.2220
Annualized Sharpe (Rf=0%) -0.0729

Row

Daily Return Statistics

Close
Observations 3958.0000
NAs 1.0000
Minimum -0.1609
Quartile 1 -0.0045
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0054
Maximum 0.1843
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0140
Skewness -0.4219
Kurtosis 27.6873

Downside Risk

Close
Semi Deviation 0.0104
Gain Deviation 0.0104
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0104
Downside Deviation (0%) 0.0104
Maximum Drawdown 0.5982
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0354
Modified VaR (95%) -0.0168
Modified ES (95%) -0.0168
From Trough To Depth Length To Trough Recovery
2007-02-01 2008-11-20 NA -0.5982 3559 457 NA
2005-07-19 2005-12-20 2006-12-18 -0.1626 359 109 250
2006-12-19 2007-01-05 2007-01-31 -0.0505 28 11 17
2005-07-01 2005-07-05 2005-07-07 -0.0079 4 2 2
2005-07-08 2005-07-11 2005-07-13 -0.0035 4 2 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA -0.7 0.1 0.2 0.1 0.4 0.2 0.6 1
2006 0.4 0.8 0.6 0.7 0.5 1.6 -0.4 0.2 0.8 -0.5 1 0.5 6.4
2007 -1.7 -0.2 0.7 -0.7 0.2 0.7 -0.4 1.7 0.6 -1 1.5 1.3 2.7
2008 0.9 -1.6 2.5 1.9 1.5 1.7 0 0.6 3.8 1.4 -7.3 1 6.1
2009 -0.7 -1.8 3 2.2 0.7 0.5 0.7 -0.6 -2.7 -3.6 0.4 -0.9 -3
2010 1.1 0.8 -0.5 -1 -0.7 -2.6 -0.1 3 0.2 -0.4 1 0 0.8
2011 1 -0.5 0.1 0.4 -0.6 0.9 0.3 -0.7 -1.5 -1.4 0.2 0.7 -1.1
2012 1 0.8 0.7 0.2 -1.5 1.1 0.3 0.1 -0.2 0.9 -0.4 1.6 4.9
2013 0.5 0.3 -0.3 -0.1 -1.4 1.3 0.5 -0.1 0.7 0 0.4 -0.4 1.4
2014 -0.1 0.1 0.4 -0.1 0.2 0.5 -1.1 0.3 0 0.2 -0.2 -3.6 -3.5
2015 -0.6 0 0.1 0.4 0.1 1.3 0 -2.3 -1 -0.5 -0.1 -0.1 -2.7
2016 -0.9 2 0.6 -1.3 0.7 0.1 0.2 -0.1 0.8 -1 -0.9 -0.7 -0.5
2017 0.1 0.7 -0.3 -0.1 0.4 0.3 0.3 0.7 0.2 0.1 -0.6 0.7 2.4
2018 0.1 -1.2 0.5 -0.8 0.3 0.8 -0.1 0.1 0.2 1.2 -0.3 0.8 1.6
2019 0.3 0.3 -0.3 0.1 -0.5 -0.5 -0.7 -0.1 -0.7 0.2 0 0.1 -1.8
2020 -0.5 -1.7 -7.5 -1.9 0.7 -0.4 0.6 1.3 0.7 -1 1.2 0.3 -8.2
2021 0.7 1 0.6 NA NA NA NA NA NA NA NA NA 2.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-06-28  20   SPY    120.  0.0084   -0.0109 -0.0008    0.0167   0.0547    0.208   -0.187 GLD    43.4 -0.0105  -0.0082
2 2005-06-29  20.0 SPY    120. -0.0027   -0.0143  0.00290   0.0159   0.0463    0.211   -0.177 GLD    43.6  0.0041  -0.0021
3 2005-06-30  20.2 SPY    119. -0.0054   -0.0057 -0.011     0.0149   0.0553    0.228   -0.174 GLD    43.4 -0.0044  -0.0132
4 2005-07-01  20.0 SPY    120.  0.00290   0.0046 -0.0102    0.0162   0.0589    0.259   -0.183 GLD    42.7 -0.017   -0.0273
5 2005-07-05  20.0 SPY    120.  0.008     0.0112  0.0028    0.0195   0.0769    0.262   -0.170 GLD    42.3 -0.0098  -0.0371
6 2005-07-06  20.2 SPY    119. -0.0084   -0.0056 -0.0047    0.0074   0.0647    0.203   -0.179 GLD    42.2 -0.0007  -0.0276
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart